longbridge-pairs-trading
Statistical-arbitrage strategy for a pair of correlated securities. Tests for cointegration, estimates hedge ratio, computes spread Z-score, and outputs actionable long/short signals with half-life and position sizing guidance.
Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.
When to use
- User provides two ticker symbols and asks for pairs trading analysis, spread mean-reversion, cointegration test, or statistical arbitrage.
- Triggers: "MSFT 和 GOOGL 配对交易", "HSBC vs StanChart 协整", "pairs trade AAPL MSFT", "价差均值回归".
Workflow
- Fetch 252 daily candles for each symbol:
longbridge kline <SYMBOL_A> --period day --count 252 --format json longbridge kline <SYMBOL_B> --period day --count 252 --format json - Align on
time, drop unmatched rows (different trading calendars). - Cointegration test (Engle-Granger):
- OLS regress
ln(close_A)onln(close_B)→ hedge ratio β - Compute residuals (spread) =
ln(close_A) − β × ln(close_B) - Run ADF test on residuals; if p-value < 0.05, declare cointegrated
- OLS regress
- Spread statistics:
- Spread mean μ, std σ
- Z-score = (spread_current − μ) / σ
- Half-life λ = −ln(2) / OLS_slope of Δspread ~ spread_{t-1} (AR(1))
- Signal:
- Z > 2.0: 价差处于历史高位区间（统计上偏离均值偏大）/ Spread at historical high (statistically elevated)
- Z < −2.0: 价差处于历史低位区间（统计上偏离均值偏小）/ Spread at historical low (statistically depressed)
- |Z| < 0.5: 价差回归均值区间 / Spread near historical mean
- Position sizing: suggest equal-dollar or volatility-scaled sizing; note that execution must be simultaneous.
Run longbridge kline --help to confirm current flag names before calling.
CLI
longbridge kline --help
longbridge kline <SYMBOL_A> --period day --count 252 --format json
longbridge kline <SYMBOL_B> --period day --count 252 --format json
Output
| Metric | 简体 | 繁體 | English |
|---|---|---|---|
| Hedge ratio β | 对冲比率 | 對沖比率 | Hedge ratio |
| Cointegration p-value | 协整 p 值 | 協整 p 值 | Cointegration p-value |
| Spread Z-score | 价差 Z 分 | 價差 Z 分 | Spread Z-score |
| Half-life | 半衰期（天） | 半衰期（天） | Half-life (days) |
| Signal | 交易信号 | 交易訊號 | Trade signal |
Output: cointegration verdict → spread statistics table → current signal → position guidance. Add a risk note if p-value > 0.05 (not cointegrated). Cite Longbridge Securities / 数据来源：长桥证券 / 數據來源：長橋證券.
以上内容仅供参考，不构成投资建议。投资决策请结合自身风险承受能力独立判断。 The above is for reference only and does not constitute investment advice. Investment decisions should be made based on your own risk tolerance.
Error handling
| Situation | 简体回复 | 繁體回復 | English reply |
|---|---|---|---|
command not found: longbridge | 回退到 MCP 或提示安装 longbridge-terminal | 回退到 MCP 或提示安裝 longbridge-terminal | Fall back to MCP or install longbridge-terminal |
not logged in / unauthorized | 请运行 longbridge auth login | 請執行 longbridge auth login | Run longbridge auth login |
| ADF p-value > 0.05 | 两标的未通过协整检验，配对交易风险较高 | 兩標的未通過協整檢驗，配對交易風險較高 | Not cointegrated; pairs trade is high-risk |
| Insufficient overlapping dates | 两标的历史数据重叠不足，无法建立配对 | 兩標的歷史數據重疊不足 | Insufficient overlapping history |
| Other stderr | 直接显示原始错误 | 直接顯示原始錯誤 | Surface verbatim |
MCP fallback
When the CLI is unavailable, fall back to the MCP server. Discover available tools from the MCP server's tool list at runtime.
Related skills
longbridge-kline— raw OHLCV datalongbridge-correlation— correlation matrix and rolling correlation as a pre-screenlongbridge-volatility-strategy— vol context for spread width
File layout
longbridge-pairs-trading/
└── SKILL.md